Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0369 |
| Annualized Std Dev | 0.3092 |
| Annualized Sharpe (Rf=0%) | 0.1194 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4146.0000 |
| NAs | 1.0000 |
| Minimum | -0.1952 |
| Quartile 1 | -0.0066 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1701 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0195 |
| Skewness | 0.0090 |
| Kurtosis | 16.1729 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0138 |
| Gain Deviation | 0.0154 |
| Loss Deviation | 0.0161 |
| Downside Deviation (MAR=210%) | 0.0179 |
| Downside Deviation (Rf=0%) | 0.0137 |
| Downside Deviation (0%) | 0.0137 |
| Maximum Drawdown | 0.7576 |
| Historical VaR (95%) | -0.0251 |
| Historical ES (95%) | -0.0472 |
| Modified VaR (95%) | -0.0253 |
| Modified ES (95%) | -0.0253 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2009-03-06 | 2015-01-16 | -0.7576 | 2000 | 523 | 1477 |
| 2020-02-24 | 2020-03-23 | NA | -0.4284 | 272 | 21 | NA |
| 2016-08-02 | 2018-12-24 | 2019-09-03 | -0.2257 | 777 | 604 | 173 |
| 2015-01-28 | 2016-02-11 | 2016-06-30 | -0.1938 | 360 | 263 | 97 |
| 2005-08-03 | 2005-10-12 | 2006-01-27 | -0.1210 | 123 | 50 | 73 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 | 1 | 1.9 | -0.3 | 4.6 |
| 2005 | 0.7 | 1 | 0.1 | 1.3 | 1.1 | 0.9 | -0.1 | 0.9 | 1.6 | -2.2 | 1.5 | -0.3 | 6.7 |
| 2006 | 0.5 | 0.6 | 0.2 | -1.2 | 1.8 | 0.8 | -0.5 | -0.6 | -0.2 | -0.8 | -0.2 | 0.5 | 0.8 |
| 2007 | 0.4 | -0.9 | 1.4 | -0.9 | 0.1 | -0.4 | 1.3 | 1.7 | 2.4 | -4.7 | 2.7 | 0.8 | 4 |
| 2008 | 4.2 | -1.4 | 5.7 | 2.2 | -0.5 | -0.1 | 0.1 | -0.7 | -2.4 | 6.4 | -19.5 | 5.3 | -3.5 |
| 2009 | -4.1 | -1.3 | -0.5 | -3.3 | 5.1 | 1.7 | -0.1 | -5.3 | -4.5 | -1.7 | 1.5 | -1.7 | -13.8 |
| 2010 | 1.8 | 0.9 | 0.5 | -3.1 | -2.1 | -0.3 | 0.6 | 3.3 | 0.5 | 0.9 | 0.6 | -0.2 | 3.1 |
| 2011 | 0.2 | -3 | 0.2 | -0.6 | -2.9 | 1.7 | -1.5 | -1.4 | -2.7 | -3.2 | -0.8 | -0.4 | -13.6 |
| 2012 | 1 | 0.6 | 0.8 | 1.1 | -2.4 | 2.6 | -0.5 | 0.3 | -0.7 | 0.5 | 0.2 | 1.1 | 4.5 |
| 2013 | 0.6 | 0.3 | 0.3 | -0.8 | -1.3 | -0.2 | -0.4 | -0.8 | 1.5 | 0.5 | -0.9 | -0.5 | -1.9 |
| 2014 | 0.5 | 0.9 | 0.5 | 0.4 | 0.5 | 0.5 | -0.2 | 0.5 | 0.1 | 1.3 | -0.2 | -1.7 | 3 |
| 2015 | -2.1 | 0.8 | -0.1 | 0.8 | 1.2 | 1.6 | 0.8 | -1.9 | 0.5 | -0.9 | 1.4 | -0.9 | 1.1 |
| 2016 | 0.2 | 2.8 | -0.1 | -0.9 | 0.1 | 0 | 0.2 | -0.2 | -0.7 | -2.2 | -1.5 | 1.3 | -1.1 |
| 2017 | -1.2 | -0.3 | 0.6 | 0.6 | 0.5 | 0 | 0.5 | 0.3 | 0.2 | 0.5 | 0.2 | 0 | 2 |
| 2018 | -2.2 | 0.1 | -0.1 | 0.9 | 0.4 | 0.2 | 0.7 | 0.4 | -0.9 | 0.5 | 0.9 | 0.3 | 1.2 |
| 2019 | -0.6 | -0.3 | -0.1 | 0.1 | 0.6 | 0 | 0 | 0.1 | -0.9 | 0 | -0.5 | 0.7 | -1 |
| 2020 | -1.2 | -2.4 | -6.6 | -3.4 | 2.3 | 2.3 | -0.2 | 0.1 | 2 | -0.7 | 1.3 | 1 | -5.7 |
| 2021 | 2.3 | 0.4 | -1.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-09-29 49.8 SPY 112. 0.005 0.0026 0.0119 -0.0235 0.108 0.0936 -0.125 <NA> NA NA NA
2 2004-09-30 50.2 SPY 112. -0.0007 0.0073 0.0059 -0.0104 0.118 0.0701 -0.125 <NA> NA NA NA
3 2004-10-01 51.2 SPY 114. 0.0169 0.0196 0.0209 0.0068 0.113 0.09 -0.116 <NA> NA NA NA
4 2004-10-04 51.4 SPY 114. 0.0017 0.0279 0.0112 0.0174 0.111 0.0782 -0.113 <NA> NA NA NA
5 2004-10-05 51.4 SPY 114. 0.0005 0.0235 0.0159 0.015 0.102 0.061 -0.102 <NA> NA NA NA
6 2004-10-06 51.6 SPY 115. 0.0063 0.0249 0.0156 0.0287 0.104 0.0668 -0.110 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
